TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE

被引：0
|
作者：
Dzaja, Josipa [1 ]
Aljinovic, Zdravka [1 ]
机构：
[1] Univ Split, Fac Econ, Cvite Fiskov 5, Split 21000, Croatia
来源：
CROATIAN OPERATIONAL RESEARCH REVIEW | 2013年 / 4卷 / 01期
关键词：
CAPM; European emerging markets; Beta validity; Market portfolio;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The paper examines if the Capital Asset Pricing Model (CAPM) is adequate for capital asset valuation on the Central and South- East European emerging securities markets using monthly stock returns for nine countries for the period of January 2006 to December 2010. Precisely, it is tested if beta, as the systematic risk measure, is valid on observed markets by analysing are high expected returns associated with high levels of risk, i. e. beta. Also, the efficiency of market indices of observed countries is examined.
引用
收藏
页码：164 / 175
页数：12
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